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Gregor Kastner
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Cited by
Year
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
G Kastner, S Frühwirth-Schnatter
Computational Statistics & Data Analysis 76, 408-423, 2014
3642014
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
G Kastner
Journal of Statistical Software 69 (5), 1-30, 2016
2232016
Efficient Bayesian inference for multivariate factor stochastic volatility models
G Kastner, S Frühwirth-Schnatter, HF Lopes
Journal of Computational and Graphical Statistics 26 (4), 905-917, 2017
1312017
Sparse Bayesian time-varying covariance estimation in many dimensions
G Kastner
Journal of Econometrics 210 (1), 98-115, 2019
1142019
Sparse Bayesian vector autoregressions in huge dimensions
G Kastner, F Huber
Journal of Forecasting 39 (7), 1142-1165, 2020
862020
Modeling univariate and multivariate stochastic volatility in R with stochvol and factorstochvol
D Hosszejni, G Kastner
Journal of Statistical Software 100 (12), 1-34, 2021
73*2021
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
F Huber, G Kastner, M Feldkircher
Journal of Applied Econometrics 34 (5), 621-640, 2019
512019
R Package stochvol: Efficient Bayesian inference for stochastic volatility (SV) models
G Kastner, D Hosszejni
39*2019
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
M Feldkircher, F Huber, G Kastner
arXiv preprint arXiv:1711.00564, 2017
182017
European rapeseed and fossil diesel: Threshold cointegration analysis and possible implications
M Ziegelback, G Kastner
Unternehmerische Landwirtschaft zwischen Marktanforderungen und …, 2012
162012
Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
D Hosszejni, G Kastner
Bayesian Statistics and New Generations: BAYSM 2018, Warwick, UK, July 2-3 …, 2019
142019
Heavy-Tailed Innovations in the R Package stochvol
G Kastner
http://cran.r-project.org/web/packages/stochvol/vignettes/heavytails.pdf, 2015
142015
Investigating the Dark Figure of COVID-19 Cases in Austria: Borrowing From the Decode Genetics Study in Iceland
R Hirk, G Kastner, L Vana
Austrian Journal of Statistics 49 (4), 1-17, 2020
112020
Analysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Models
G Kastner, S Frühwirth-Schnatter, HF Lopes
The Contribution of Young Researchers to Bayesian Statistics, Springer …, 2014
112014
Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!
L Gruber, G Kastner
arXiv preprint arXiv:2206.04902, 2022
62022
Bayesian modeling and clustering for spatio-temporal areal data: An application to Italian unemployment
A Mozdzen, A Cremaschi, A Cadonna, A Guglielmi, G Kastner
Spatial Statistics 52, 100715, 2022
42022
Arbitrage hedging in markets for the US lean hogs and the EU live pigs
M Ziegelbäck, G Kastner
Agricultural Economics 59, 505-511, 2013
42013
Package “mfbvar.”
S Ankargren, Y Yang, G Kastner
32021
On the joint volatility dynamics in international dairy commodity markets
AN Rezitis, G Kastner
Australian Journal of Agricultural and Resource Economics 65 (3), 704-728, 2021
32021
Posterior predictive model checking using formal methods in a spatio-temporal model
L Vana, E Visconti, L Nenzi, A Cadonna, G Kastner
arXiv preprint arXiv:2110.01360, 2021
22021
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